I did not use a nested class, this is because it seemed as if I had to registere the initializer via the app.config. I could not get it working while initializing it in code. The InitializeDatabase is called, but the following condition is never true:

You can just scaffold a new migration using the Add-Migration command from your package manager console. Once the empty migration is created, in the Up method, you can use the CreateIndex method of the DbMigration class to create your new index. It would look like something like this: